Reading can be a form of escapism. When we want to leave our own worlds and stresses for a while reading can provide a perfect escape to an ideal world. When reading like this, it's true, you bond with the characters and the storyline, and become emotionally invested in the characters' stories. Once the story is finished, there's a rude awakening to the fact that this was only a story and unfortunately not life, and that these characters don't exist.
I always think of Alice in Wonderland when I finish a book for this reason. Remember how she has to leave wonderland? A lot of the story has to do with aging, but it also confronts the escapism people use to process information around us. That's how I see books, this escape where we process all this information we experience on a daily basis through these characters. Then by the end of the book, hopefully we have come to some understandings about our own lives.